Tuesday, December 15, 2020

Stocks Rising into Final Hour on Stimulus Hopes, Vaccine Optimism, Oil Gain, Commodity/Financial Sector Strength

 

 Broad Equity Market Tone:
  • Advance/Decline Line: Substantially Higher
  • Sector Performance: Most Sectors Rising
  • Volume: Around Average
  • Market Leading Stocks: Performing In Line
Equity Investor Angst:
  • Volatility(VIX) 23.1 -6.4%
  • Bloomberg Global Risk On/Risk Off Index 1,221.0 +103.0 points
  • Euro/Yen Carry Return Index 130.46 -.23%
  • Emerging Markets Currency Volatility(VXY) 10.3 +.5%
  • S&P 500 Implied Correlation 49.1 -1.7%
  • ISE Sentiment Index 139.0 +33.0 points
  • Total Put/Call .88 +10.0%
  • NYSE Arms .80 -67.1%
Credit Investor Angst:
  • North American Investment Grade CDS Index 52.80 -2.53%
  • US Energy High-Yield OAS 581.49 -.62%
  • European Financial Sector CDS Index 58.62 -4.2%
  • Italian/German 10Y Yld Spread 113.0 -3.0 basis points
  • Asia Ex-Japan Investment Grade CDS Index 58.10 -.46%
  • Emerging Market CDS Index 161.40 -1.34%
  • iBoxx Offshore RMB China Corporate High Yield Index 182.29 +.11%
  • 2-Year Swap Spread 8.25 +.25 basis point
  • TED Spread 15.0 -.25 basis point
  • 3-Month EUR/USD Cross-Currency Basis Swap -17.0 +.25 basis point
  • MBS  5/10 Treasury Spread  74.75 +1.75 basis points
  • IHS Markit CMBX BBB- 6 72.5 unch.
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 62.46 +.27%
  • 3-Month T-Bill Yield .07% unch.
  • Yield Curve 77.0 -1.5 basis points
  • China Iron Ore Spot 154.0 USD/Metric Tonne +.76%
  • Citi US Economic Surprise Index 77.50 +1.7 points
  • Citi Eurozone Economic Surprise Index 137.4 -.9 point
  • Citi Emerging Markets Economic Surprise Index 68.0 +.9 point
  • 10-Year TIPS Spread 1.91 +3.0 basis points
  • 100.0% chance of no change at Jan. 27th meeting, 100.0% chance of no change at March 17th meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating +103 open in Japan 
  • China A50 Futures: Indicating +90 open in China
  • DAX Futures: Indicating +29 open in Germany
Portfolio:
  • Slightly Higher: On gains in my medical/tech/industrial/consumer staple sector longs
  • Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges and some of my emerging market shorts
  • Market Exposure: Moved to 75% Net Long

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